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General Equilibrium Option Pricing Method: Theoretical and Empirical Study
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General Equilibrium Option Pricing Method: Theoretical and Empirical Study

Författare:
inbunden, 2018
Engelska
This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. In the presence of jump, investors impose more weights on the jump risk than the volatility risk, and as a result, investors require more jump risk premium which generates a pronounced volatility smirk.
Författare
Jian Chen
Upplaga
2018 ed.
ISBN
9789811074271
Språk
Engelska
Vikt
446 gram
Utgivningsdatum
20.4.2018
Sidor
164